Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0223 |
| Annualized Std Dev | 0.2377 |
| Annualized Sharpe (Rf=0%) | 0.0936 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3325.0000 |
| NAs | 1.0000 |
| Minimum | -0.1242 |
| Quartile 1 | -0.0059 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1139 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -0.4790 |
| Kurtosis | 9.8482 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0110 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0123 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.6109 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0375 |
| Modified VaR (95%) | -0.0234 |
| Modified ES (95%) | -0.0465 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-20 | 2009-03-09 | 2014-01-10 | -0.6109 | 1419 | 202 | 1217 |
| 2020-02-13 | 2020-03-23 | 2020-08-12 | -0.3657 | 126 | 27 | 99 |
| 2018-01-29 | 2018-12-24 | 2020-01-17 | -0.2545 | 497 | 229 | 268 |
| 2014-03-07 | 2016-02-11 | 2017-11-21 | -0.2489 | 937 | 488 | 449 |
| 2008-01-02 | 2008-01-17 | 2008-05-08 | -0.1507 | 89 | 12 | 77 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | 0.5 |
| 2008 | 3.5 | -1.7 | 1 | 0.6 | 0.6 | -1.7 | -2 | 0.1 | 0.8 | 1.6 | -4.5 | 1.3 | -0.6 |
| 2009 | 0.1 | 0.1 | 1.4 | 2.1 | 1.3 | 1.6 | 1 | -2.9 | -3.8 | -3.3 | 3 | -0.3 | 0 |
| 2010 | 2.1 | 1.9 | 1.8 | -2.1 | -2.3 | 0 | 0.3 | 3.9 | 1.3 | 0.2 | 3.7 | 0.7 | 11.7 |
| 2011 | 2.9 | -0.8 | 1.2 | 0.4 | -1.8 | 1 | -0.5 | -0.9 | -4.2 | -2.8 | -0.7 | 0.5 | -6 |
| 2012 | 1.3 | 0.4 | 1.2 | 0.8 | -3.5 | 3.9 | -0.1 | 1.2 | 0.8 | 1 | 0.3 | 1.9 | 9.5 |
| 2013 | 1.8 | 0.1 | -0.8 | -0.6 | -2.2 | 1.2 | 1.1 | -0.4 | 1.2 | -0.2 | 0.4 | 0.8 | 2.4 |
| 2014 | -1.4 | 0.9 | 1.3 | 0.5 | 0.4 | 1.1 | -0.4 | -0.2 | -1.3 | 1.1 | -0.1 | -0.9 | 0.9 |
| 2015 | -1.2 | 0.1 | 0.1 | 0.6 | -0.2 | 0.4 | 1.2 | -2.6 | 0.6 | -0.1 | 0.9 | -1.4 | -1.5 |
| 2016 | 0.8 | 2.3 | -0.4 | 0.2 | 0.1 | 0.7 | -0.8 | 0.9 | 1 | -0.4 | -0.3 | 0.2 | 4.2 |
| 2017 | 0 | 1.1 | 0 | 0.7 | 0.7 | 0.7 | 0.4 | 0.3 | 0.7 | -0.1 | -0.2 | -0.2 | 4.1 |
| 2018 | 0.1 | -1.6 | 1.3 | 0 | 0.5 | 1.1 | -0.5 | -0.9 | 0.2 | 1.3 | -1 | 0.5 | 1.1 |
| 2019 | 0 | 0.9 | 0.7 | -0.9 | -0.2 | 0.4 | 0.5 | 0.8 | -0.7 | 0.9 | -0.1 | -0.2 | 2 |
| 2020 | -1.6 | -1.5 | -3.7 | -2.1 | 1.2 | 0.6 | -1.8 | 0 | 1.7 | -0.8 | 1.4 | -0.7 | -7.3 |
| 2021 | 1.9 | 2.1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
